This paper considers the problem of testing for multiple structural changes in the persistence of a univariate time series. We propose sup-Wald tests of the null hypothesis that the process has an autoregressive unit root against the alternative hypothesis that the process alternates between...

Perron and Yabu (2008) consider the problem of testing for a break occuring at an unknown date in the trend function of a univariate time series when the noise component can be either stationary or integrated. This paper extends their work by proposing a sequential test that allows one to test...

Recent empirical studies find little evidence of a change in euro area inflation persistence over the post-1970 period. Their methodology is primarily based on standard unit root and structural break tests on the persistence parameter in an autoregressive specification for the inflation process....

Determining whether per capita output can be characterized by a stochastic trend is complicated by the fact that infrequent breaks in trend can bias standard unit root tests towards non-rejection of the unit root hypothesis. The bulk of the existing literature has focused on the application of...

Perron (1989) introduced a variety of unit root tests that are valid when a break in the trend function of a time series is present. The motivation was to devise testing procedures that were invariant to the magnitude of the shift in level and/or slope. In particular, if a change is present it...

This paper considers the problem of testing for multiple structural changes in the persistence of a univariate time series. We propose sup-Wald tests of the null hypothesis that the process has an autoregressive unit root throughout the sample against the alternative hypothesis that the process...

This paper studies issues related to the estimation of a structural change in the persistence of a univariate time series. The break is such that the process has a unit root [i.e., is I(1)] in the pre-break regime but reverts to a stationary [i.e., I(0)] process in the post-break regime or vice...

Saikkonen (1991) developed an asymptotic optimality theory for the estimation of cointegrated regressions. He proposed the dynamic OLS estimator obtained by augmenting the static cointegrating regression with leads and lags of the first differences of the I(1) regressors. However, the...

Saikkonen (1991, <italic>Econometric Theory</italic> 7, 1–21) developed an asymptotic optimality theory for the estimation of cointegrated regressions. He proposed the dynamic ordinary least squares (OLS) estimator obtained by augmenting the static cointegrating regression with leads and lags of the first...